Integration by parts for a Lie group valued Brownian motion (Q1322499)
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English | Integration by parts for a Lie group valued Brownian motion |
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Integration by parts for a Lie group valued Brownian motion (English)
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29 August 1994
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Let \(G\) be a Lie group of \(d \times d\)-matrices with Lie algebra \(g\). Let \((D_ 1, \dots, D_ n)\) be an orthonormal basis of \(g\) with respect to some Euclidean norm, and let \((\widetilde D_ 1, \dots, \widetilde D_ n)\) be the corresponding left invariant vector fields on \(G\). If \((Y_ t)\) is a Brownian motion on \(g\), then the Stratonovich exponential \(\varepsilon^*(Y)\) is a Brownian motion on \(G\) associated with the Laplacian \(\sum_ i \widetilde D_ i\). A Girsanov-type formula is used to derive an integration-by-parts formula for \(\varepsilon^*(Y)\).
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Lie group
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Lie algebra
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Stratonovich exponential
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Brownian motion
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Girsanov-type formula
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